# A Mean Field Game of Optimal Portfolio Liquidation

arXiv: https://arxiv.org/abs/1804.04911 · HTML: https://mlsanity.com/paper/1804.04911/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 13 Apr 2018.

## Built on by (most cited first, 1 of 1)

- [Population-Aware Imitation Learning in Mean-field Games with Common Noise](https://mlsanity.com/paper/2605.03357/) (2026)

## Abstract (arXiv)

We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE with possibly singular terminal condition on the backward component or, equivalently, in terms of a FBSDE with finite terminal value, yet singular driver. Extending the method of continuation to linear-quadratic FBSDE with singular driver we prove that the MFG has a unique solution. Our existence and uniqueness result allows to prove that the MFG with possibly singular terminal condition can be approximated by a sequence of MFGs with finite terminal values.